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| Author: | Hautsch, N. Hess, D. |
| Title: | The processing of non-anticipated information in financial markets: analyzing the impact of surprises in employment report |
| Journal: | European Finance Review
2002 : VOL. 6:2, p. 133-161 |
| Index terms: | Data management Financial markets Information Volatility |
| Language: | eng |
| Abstract: | The simulataneous impact of non-anticipated information on mean and variance of the intraday return process by including appropriate variables accounting for the news flow into both the mean and the variance function is delineated in this article. This allows differentiating between the consistent price reaction to suprising news and the traders' uncertainty about the precise price impact of this information. Focusing on the US employment report, it is found that headline information is almost instantaneously incorporated into T-bond futures prices. |
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